A finite difference scheme for conservation laws driven by Lévy noise

DOI10.1093/IMANUM/DRX023MaRDI QIDQ4555962zbMATH OpenOpenAlexFDO

Authors U. Koley, Ananta K. Majee, G. Vallet

Publication date 23 November 2018

Published in IMA Journal of Numerical Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1604.07840

zbMATH Keywords

conservation lawserror estimatesfinite difference schemesYoung measuresstochastic entropy solutionLévy noise

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Hyperbolic conservation laws (35L65) PDEs with randomness, stochastic partial differential equations (35R60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15) Probabilistic methods, particle methods, etc. for initial value and initial-boundary value problems involving PDEs (65M75)

Abstract: In this paper, we analyze a semi-discrete finite difference scheme for a conservation laws driven by a homogeneous multiplicative Levy noise. Thanks to BV estimates, we show a compact sequence of approximate solutions, generated by the finite difference scheme, converges to the unique entropy solution of the underlying problem, as the spatial mesh size Dx-->0. Moreover, we show that the expected value of the L^1-difference between the approximate solution and the unique entropy solution converges at a rate O(sqrt{Dx}).

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(14)

• Multilevel Monte Carlo finite difference methods for fractional conservation laws with random data
• A convergent finite volume scheme for the stochastic barotropic compressible Euler equations
• Convergence of approximations to stochastic scalar conservation laws
• Convergence of the finite volume method for scalar conservation laws with multiplicative noise: an approach by kinetic formulation
• A finite volume scheme for fractional conservation laws driven by Lévy noise
• On weak-strong uniqueness for stochastic equations of incompressible fluid flow
• Measure-valued solutions to the stochastic compressible Euler equations and incompressible limits
• A fractional degenerate parabolic-hyperbolic Cauchy problem with noise
• Convergence of a spectral method for the stochastic incompressible Euler equations
• Stochastic degenerate fractional conservation laws
• Continuous dependence estimate for conservation laws with Lévy noise
• The Cauchy problem for fractional conservation laws driven by Lévy noise
• Convergence of a flux-splitting finite volume scheme for conservation laws driven by Lévy noise
• Conservation laws driven by Lévy white noise

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